Yeah, probably should be made clear that SLG's are only good for LCD/LED/Plasma, etc.
A CRT will be a lot more work to set up, but will give you better looking, authentic video, with no input lag (from the display at least). Everyone's decision about the display is different based on time, interest, and how picky you are about video quality and lag. If you do go with a CRT, you'll need either a SCART input, or a component input and a VGA to component transcoder. There aren't any quality s-video solutions available for MAME right now.
GroovyMAME+CRT_Emudriver is another option on the PC end. The ArcadeVGA has the advantage of simplicity, but it is not flexible enough for advanced users. Soft15kHz is obsolete, there's not much reason to get into that instead of CRT_Emudriver.